Shoutbox

They are stored in C:\Documents and Settings\All Users\Application Data\Messenger Plus!\Custom Sounds as .dat files. Copy them to somewhere else (your desktop for example) so you don't interfere with Plus!, then you can rename the .dat files you just copied to .mp3 files and use them for whatever you want.

EDIT: Supersonicdarky, the file format you need for ringtones depends on your phone model. The last 3 phones I owned supported MP3 (and a bunch of other formats) for ringtones. Should your phone not support MP3 files, then you can always convert them to .wav, .mid or whatever you want. But midi files won't give you real sound, just polyphone.